# Question: Suppose you enter into a put ratio spread where you

Suppose you enter into a put ratio spread where you buy a 45-strike put and sell two 40-strike puts, both with 91 days to expiration. Compute and graph the 1-day holding period profit if you delta- and gamma-hedge this position using the stock and a 40-strike call with 180 days to expiration.

## Answer to relevant Questions

You have purchased a 40-strike call with 91 days to expiration. You wish to deltahedge, but you are also concerned about changes in volatility; thus, you want to vega-hedge your position as well. a. Compute and graph the ...Reproduce the analysis in Table 13.2, assuming that instead of selling a call you sell a 40-strike put. Make the same assumptions as in the previous problem. a. What is the price of a standard European put with 2 years to expiration? b. Suppose you have a compound call giving you the right to pay $2 1 year from today to buy ...Suppose you observe the prices {5, 4, 5, 6, 5}. What are the arithmetic and geometric averages? Nowyou observe {3, 4, 5, 6, 7}. What are the two averages? What happens to the difference between the two measures of the ...Repeat the previous problem for up-and-out puts assuming a barrier of $44.Post your question